Fokker–Planck equation

In statistical mechanics and information theory, the Fokker–Planck equation is a partial differential equation that describes the time evolution of the probability density function of the velocity of a particle under the influence of drag forces and random forces, as in Brownian motion. The equation can be generalized to other observables as well. The Fokker–Planck equation has multiple applications in information theory, graph theory, data science, finance, economics etc.